Confidence as Likelihood

doi:10.1214/20-STS811

Confidence as Likelihood

2021-11-01

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DOI：10.1214/20-STS811

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Abstract

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Confidence and likelihood are fundamental statistical concepts with distinct technical interpretation and usage. Confidence is a meaningful concept of uncertainty within the context of confidence-interval procedure, while likelihood has been used predominantly as a tool for statistical modelling and inference given observed data. Here we show that confidence is in fact an extended likelihood, thus giving a much closer correspondence between the two concepts. This result gives the confidence concept an external meaning outside the confidence-interval context, and vice versa, it gives the confidence interpretation to the likelihood. In addition to the obvious interpretation purposes, this connection suggests two-way transfers of technical information. For example, the extended likelihood theory gives a clear way to update or combine confidence information. On the other hand, the confidence connection means that intervals derived from the extended likelihood have the same status as confidence intervals. This gives the extended likelihood direct access to the frequentist probability, an objective certification not directly available to the classical likelihood.

Keywords:

Confidence density and distribution

confidence interval

epistemic probability

fiducial probability

Confidence as Likelihood

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